DetallesOne of the canonical models for commodity international financial markets is known as the Gibson and Schwartz (1990) model. In this model, a second variable different from the Standard Spot Price of the commodity, known as the Net Spot Convenience Yield, is modelled through an Ornstein-Uhlenbeck process. Based on this, it is fundamental for anyone who aims to work in the commodity modelling field to know the particularities of this stochastic process: (I) its general history; (II) the intuition and interpretation behind it; (III) its general solution; (IV) so me of its particular characteristics; (V) the statistics inspired by it that help to test the presence of a mean-reverting pattern or not of a time-series and (VI) the calibration methods. Finally, so me of these features will be applied to the concrete case of the London Cocoa Net Spot Convenience Yield.
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Editor / Marca U. Externado de Colombia Año de Edición 2017 Número de Páginas 40 Idioma(s) Español Terminado Tapa Rústica Alto y ancho 17 x 24 cm Peso 0.0900 Tipo Producto libro
Carlos Armando Mejía Vega
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- PrologueIntroductionChapter 1. General historyChapter 2. The stochastic process2.1 Solution part I. Intuition as a deterministic process2.2 Solution part II. Definition of the dependent process and partial derivatives2.3 Solution part III, ItO´s lemma application2.4 Solution part IV. Integration from s to t, where 0 = s < t2.5 Gaussian property2.6 Solution part VI. Discretization process2.7 Stationary property2.7.1 Constant long - term Expected Value2.7.2 Constant long-term Variance2.7.3 CovarianceChapter 3. The Dickey - Fuller test3.1 Testing the mean-reverting pattern of a time series3.2 The Dickey Fuller test with and without driftChapter 4. Calibration prócess4.1 Maximum Log-Likelihood Method4.1.1 Log-Likelihood function4.1.2 First order conditions4.1.3 Final equations4.1.4 Particular issues about the parameters4.2 Regression method4.2.1 Regression model4.2.2 Least Square Regression Method4.3.3 Final equationsChapter 5. Example for the London Cocoa Net Spot Convenience Yield5.1 The class of futures contracts over commodities known as the London Cocoa Futures5.2 Proxy for the London Cocoa Net Spot Convenience Yield5.3 Mean reversion pattern5.4 Parameters calibrationBibliography